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RDUK
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Risk-Adjusted Performance
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RDUK

Last updated Sep 14, 2024

Asset Allocation

GLTL.L 40%GLT5.L 15%GBSP.L 7.5%CMFP.L 7.5%LGGG.L 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		Commodities
7.50%
GBSP.L
WisdomTree Physical Gold - GBP Daily Hedged		Precious Metals
7.50%
GLT5.L
Invesco UK Gilt 1-5 Year UCITS ETF Dist		European Government Bonds
15%
GLTL.L
SPDR Bloomberg 15+ Year Gilt UCITS ETF		European Government Bonds
40%
LGGG.L
L&G Global Equity UCITS ETF		Global Equities
30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in RDUK, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

100.00%200.00%300.00%400.00%AprilMayJuneJulyAugustSeptember
424.82%
95.63%
RDUK
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 4, 2019, corresponding to the inception date of GLT5.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%10.08%26.58%13.42%10.87%
RDUK8.02%3.44%8.38%18.18%38.34%N/A
Portfolio components:
GLT5.L
Invesco UK Gilt 1-5 Year UCITS ETF Dist		6.45%3.07%7.40%13.44%1.21%N/A
GLTL.L
SPDR Bloomberg 15+ Year Gilt UCITS ETF		-0.17%4.91%7.37%13.79%70.67%35.03%
GBSP.L
WisdomTree Physical Gold - GBP Daily Hedged		28.52%5.74%23.40%41.15%10.82%5.50%
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		2.37%1.04%-0.05%-2.98%9.99%3.84%
LGGG.L
L&G Global Equity UCITS ETF		16.10%1.59%8.51%25.10%12.66%N/A

Monthly Returns

The table below presents the monthly returns of RDUK, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.73%-0.76%3.16%-2.92%2.29%1.53%2.51%1.59%8.02%
20235.26%-6.05%5.47%0.30%-3.80%3.40%2.25%-2.78%-5.45%-0.80%7.55%6.37%11.00%
2022-4.97%34.39%-1.86%-6.82%-2.99%-6.76%3.56%-9.18%-9.70%4.10%7.83%-3.95%-3.25%
2021-1.11%23.03%-0.28%2.88%3.43%-1.22%3.56%29.01%-5.61%4.91%-0.23%0.62%69.39%
20202.07%54.26%-2.69%6.18%0.28%1.32%6.26%31.25%-1.81%-1.26%5.17%4.95%146.71%
2019-0.21%-1.88%2.81%-1.08%1.54%1.89%3.05%-0.12%2.10%8.27%

Expense Ratio

RDUK has an expense ratio of 0.14%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

CMFP.L
L&G Longer Dated All Commodities UCITS ETF
Expense ratio chart for CMFP.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
GBSP.L
WisdomTree Physical Gold - GBP Daily Hedged
Expense ratio chart for GBSP.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
GLTL.L
SPDR Bloomberg 15+ Year Gilt UCITS ETF
Expense ratio chart for GLTL.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
LGGG.L
L&G Global Equity UCITS ETF
Expense ratio chart for LGGG.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
GLT5.L
Invesco UK Gilt 1-5 Year UCITS ETF Dist
Expense ratio chart for GLT5.L: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of RDUK is 22, indicating that it is in the bottom 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of RDUK is 2222
RDUK
The Sharpe Ratio Rank of RDUK is 2525Sharpe Ratio Rank
The Sortino Ratio Rank of RDUK is 3030Sortino Ratio Rank
The Omega Ratio Rank of RDUK is 2525Omega Ratio Rank
The Calmar Ratio Rank of RDUK is 88Calmar Ratio Rank
The Martin Ratio Rank of RDUK is 2323Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

RDUK
Sharpe ratio
The chart of Sharpe ratio for RDUK, currently valued at 1.64, compared to the broader market-1.000.001.002.003.004.001.64
Sortino ratio
The chart of Sortino ratio for RDUK, currently valued at 2.39, compared to the broader market-2.000.002.004.002.39
Omega ratio
The chart of Omega ratio for RDUK, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for RDUK, currently valued at 0.62, compared to the broader market0.002.004.006.008.000.62
Martin ratio
The chart of Martin ratio for RDUK, currently valued at 6.93, compared to the broader market0.0010.0020.0030.006.93
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLT5.L
Invesco UK Gilt 1-5 Year UCITS ETF Dist		1.822.681.340.678.86
GLTL.L
SPDR Bloomberg 15+ Year Gilt UCITS ETF		0.831.281.150.281.74
GBSP.L
WisdomTree Physical Gold - GBP Daily Hedged		2.383.201.411.8613.50
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		-0.23-0.250.97-0.13-0.52
LGGG.L
L&G Global Equity UCITS ETF		2.042.861.372.0610.28

Sharpe Ratio

The current RDUK Sharpe ratio is 1.53. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.68 to 2.31, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of RDUK with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.64
1.96
RDUK
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

RDUK granted a 2.23% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
RDUK2.23%1.75%65.32%17.73%0.45%0.64%0.62%0.74%0.79%1.00%1.05%1.47%
Portfolio components:
GLT5.L
Invesco UK Gilt 1-5 Year UCITS ETF Dist		4.41%3.76%1.01%0.19%0.33%0.44%0.00%0.00%0.00%0.00%0.00%0.00%
GLTL.L
SPDR Bloomberg 15+ Year Gilt UCITS ETF		3.93%2.97%162.91%44.24%1.01%1.43%1.55%1.86%1.99%2.51%2.63%3.67%
GBSP.L
WisdomTree Physical Gold - GBP Daily Hedged		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LGGG.L
L&G Global Equity UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-12.60%
-0.60%
RDUK
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the RDUK. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the RDUK was 38.71%, occurring on Sep 27, 2022. The portfolio has not yet recovered.

The current RDUK drawdown is 13.13%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.71%Feb 3, 2022162Sep 27, 2022———
-22.45%Mar 10, 20208Mar 19, 202055Jun 10, 202063
-7.52%Aug 6, 202146Oct 11, 202178Feb 1, 2022124
-4.68%Aug 7, 202034Sep 24, 202038Nov 17, 202072
-4.11%Feb 10, 202135Mar 30, 202125May 7, 202160

Volatility

Volatility Chart

The current RDUK volatility is 2.54%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
2.54%
4.09%
RDUK
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
CMFP.LLGGG.LGLTL.LGBSP.LGLT5.L
CMFP.L1.000.350.090.410.33
LGGG.L0.351.000.150.290.40
GLTL.L0.090.151.000.470.54
GBSP.L0.410.290.471.000.67
GLT5.L0.330.400.540.671.00
The correlation results are calculated based on daily price changes starting from Apr 5, 2019